In msperlin/GetHFData: Download and Aggregate High Frequency Trading Data from Bovespa

Version 1.3 of GetHFData makes it possible to download and aggregate order data from Bovespa. The data comprises buy and sell orders sent by market operators. Tabular data includes type of orders (buy or sell, new/update/cancel/..), date/time of submission, priority time, prices, order quantity, among many other information.

Be aware that these are very large files. One day of buy and sell orders in the equity market is around 100 MB zipped and close to 1 GB unzipped. If you computer is not suited to store this data in its memory, it will crash.

Here's an example of usage that will download and aggregate order data for all option contracts related to Petrobras (PETR):

library(GetHFData)

first.time <- '10:00:00'
last.time <- '17:00:00'

first.date <- '2015-08-18' 
last.date <- '2015-08-18'

type.output <- 'agg' # aggregates data 
agg.diff <- '5 min' # interval for aggregation

my.assets <- 'PETR' # all options related to Petrobras (partial matching)
type.matching <- 'partial' # finds tickers from my.assets using partial matching
type.market = 'options' # option market
type.data <- 'orders' # order data

df.out <- ghfd_get_HF_data(my.assets =my.assets, 
                           type.data= type.data,
                           type.matching = type.matching,
                           type.market = type.market,
                           first.date = first.date,
                           last.date = last.date,
                           first.time = first.time,
                           last.time = last.time,
                           type.output = type.output,
                           agg.diff = agg.diff)

msperlin/GetHFData documentation built on July 4, 2020, 11:48 a.m.